Browsing Working Papers by Subject "VARMA-GARCH models"

Title:Granger-Causal Analysis of VARMA-GARCH Models
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Author(s):WOŹNIAK, TomaszDate:2012Type of Publication:Working PaperSeries/Report no.:EUI ECO; 2012/19Abstract:Recent economic developments have shown the importance of spillover and contagion effects in financial markets. Such effects are not limited to relations between the levels of financial variables but also impact on their ...